Early SOFR/Treasury Option Roundup, Curves Twist Steeper

Mixed SOFR and Treasury options reported overnight, recent pick-up in SOFR option volume with Dec'24 put condor. Underlying futures running mixed, short end firmer, curves twist steeper (2s10s least inverted since late January at -18.970) -- coming after former NY Fed Pres Dudley writes the Fed should cut now, not wait until September. Projected rate cut pricing into year end are steady to mildly higher vs. late Tuesday levels (*): July'24 at -4.5% w/ cumulative at -1.1bp at 5.318%, Sep'24 cumulative -25bp, Nov'24 cumulative -40.1bp (-39.6bp), Dec'24 -62.8bp (-62.2bp). Salient flow includes:

• SOFR Options:
  • 6,100 SFRZ4 94.50/94.62/94.75/94.87 put condors, ref 95.33 to -33.5
  • 1,200 0QV4 95.87/96.00 put spds vs. 0QZ4 96.31/96.68/97.06 call fly spd
• Treasury Options: Reminder, August options expire Friday
  • over 2,100 FVQ4 108 calls, 0.5
  • over 2,800 FVQ4 107 puts, 2.5
  • 2,700 TYQ4 111.5 calls, 4 last
  • 2,000 TYU4 108/109 put spds
  • 1,200 TYQ4/wk1 TY 108.25/109.25/110.25 put fly spd